Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0216 |
| Annualized Std Dev | 0.1291 |
| Annualized Sharpe (Rf=0%) | -0.1671 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3344.0000 |
| NAs | 1.0000 |
| Minimum | -0.1451 |
| Quartile 1 | -0.0023 |
| Median | 0.0002 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0025 |
| Maximum | 0.1127 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0001 |
| Stdev | 0.0081 |
| Skewness | -0.5197 |
| Kurtosis | 60.5107 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0059 |
| Gain Deviation | 0.0066 |
| Loss Deviation | 0.0074 |
| Downside Deviation (MAR=210%) | 0.0111 |
| Downside Deviation (Rf=0%) | 0.0059 |
| Downside Deviation (0%) | 0.0059 |
| Maximum Drawdown | 0.4621 |
| Historical VaR (95%) | -0.0096 |
| Historical ES (95%) | -0.0197 |
| Modified VaR (95%) | -0.0047 |
| Modified ES (95%) | -0.0047 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-19 | 2009-03-09 | NA | -0.4621 | 3335 | 305 | NA |
| 2007-12-11 | 2007-12-12 | 2007-12-18 | -0.0033 | 6 | 2 | 4 |
| 2007-12-06 | 2007-12-06 | 2007-12-10 | -0.0025 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0 |
| 2008 | -0.1 | -0.4 | -0.6 | 0.7 | 0.7 | -0.9 | -0.6 | 0.4 | -0.2 | -0.8 | -2.1 | 4.6 | 0.6 |
| 2009 | -0.4 | -0.7 | -1.9 | -0.3 | 1 | -2.2 | 0.9 | -1.5 | -3.2 | -0.5 | -0.6 | -0.3 | -9.5 |
| 2010 | -0.7 | -0.6 | -0.7 | 0.2 | -1.6 | -0.2 | 0 | 0 | -0.4 | -1.1 | 0.1 | 0.2 | -4.8 |
| 2011 | -0.4 | -1.1 | -0.7 | 0.2 | -1.4 | 0.1 | -0.2 | -0.8 | -2 | -2.3 | -0.5 | -0.1 | -8.8 |
| 2012 | -0.2 | -0.5 | -0.3 | -0.3 | -1.4 | 0.7 | -0.3 | 0.3 | -0.6 | -0.2 | 0.3 | 0.4 | -2 |
| 2013 | -0.2 | -0.2 | -0.4 | -0.6 | -1.2 | -0.1 | -1.2 | -0.1 | -0.3 | -0.5 | 0.2 | 0.1 | -4.3 |
| 2014 | 0 | 0.2 | -0.4 | -0.4 | 0 | -0.4 | -0.7 | 0 | -0.2 | 0 | -1.2 | -0.4 | -3.6 |
| 2015 | -0.2 | 0.1 | -0.2 | -0.3 | -0.5 | -0.3 | -0.1 | -0.9 | -0.8 | 0 | -0.1 | 0 | -3.2 |
| 2016 | -1.2 | 1.3 | -0.3 | 0.2 | -0.5 | -0.4 | -1.1 | -0.3 | 0.4 | -0.8 | -0.9 | 0.1 | -3.5 |
| 2017 | -0.2 | -0.1 | -0.1 | -0.5 | -0.3 | 0.2 | -0.3 | -0.4 | 0.1 | -0.5 | -0.5 | 0.2 | -2.5 |
| 2018 | -0.7 | -0.9 | 0.2 | -0.5 | -0.3 | -0.2 | -0.4 | 0.1 | -0.2 | -0.1 | -0.3 | 0.1 | -3 |
| 2019 | -0.5 | -0.3 | -0.4 | -0.8 | -0.7 | -0.5 | -0.5 | -0.1 | -0.7 | 0 | -0.2 | 0.1 | -4.4 |
| 2020 | -0.5 | 0.3 | -3.2 | -2.1 | 0.2 | -0.2 | 0.1 | 0.1 | -0.1 | 0.2 | 0 | 0.1 | -4.9 |
| 2021 | 0 | 0.6 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.1 |
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Price Chart
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Rolling Performance Chart
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Snail Trail Chart
